Rủi ro hệ thống của các ngân hàng thương mại Việt Nam - Phương pháp CCA | JOURNAL OF ASIAN BUSINESS AND ECONOMIC STUDIES

Authors

Dao Hạ Thị Thiều Trường Đại học Ngân hàng TP. Hồ Chí Minh Author
Bảo Châu Hồ Quốc Ngân hàng TMCP Đầu tư và Phát triển Việt Nam, Chi nhánh Bắc Sài Gòn Author
Phương Lê Nguyễn Minh Trường Đại học Ngân hàng TP. Hồ Chí Minh Author
Gấm Lê Thị Hồng Công ty Cổ phần Chứng khoán Rồng Việt Author

DOI:

https://doi.org/10.24311/jabes/2019.30.11.4

Keywords:

Systemic risk, Default probability, CCA, Panel VAR

Abstract

This study measures the systemic risk of commercial banks in Vietnam and analyses its factors. The contingent claim approach (CCA) is employed to measure the systemic risk of Vietnam banking system over the period 2007–2018. Moreover, by employing a Panel Vector Autoregressive model (Panel VAR) with generalized method of moments (GMM) estimate method, combined with Granger causality test, impulse response function, and variance decomposition, the research shows that an increase in mobilization capital, an increase in non-performing loans and ineffective systemic risk management may cause an increase in systemic risk. In addition, some suggestions about important policy implications for authorities are discussed with the findings in order to control the factors of systemic risk as well as avoid the adverse consequences for the economy.

References

Abrigo, M. R., & Love, I. (2016). Estimation of panel vector autoregression in Stata. The Stata Journal, 16(3), 778–804.

Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2015). Networks, Shocks, and Systemic Risk (NBER Working Paper No. 20931). Retrieved from the National Brueau of Economic Research: https://www.nber.org/papers/w20931.pdf

Adrian, T., & Brunnermeier, M. (2016). CoVaR. American Economic Review, 106 (7), 1705–1741.

Allen, F., & Gale, D. (2000). Financial contagion. Journal of Political Economy, 108(1), 1–33.

Altar, M., Ifrim, A., & Altăr-Samuel, A. N. (2015). Eastern Europe in the world economy: A global VAR analysis. Romanian Journal of Economic Forecasting, 18(3), 5–26.

Altunbas, Y., Carbo, S., Gardener, E. P., & Molyneux, P. (2007) Examining the relationships between capital, risk and efficiency in European banking. European Financial Management, 13(1), 49–70.

Amarasekara, C. (2012). A macro-prudential assessment for Sri Lanka. In E. M. Bernabe Jr, (Ed.), Framework for Macro-Prudential Policies for Emerging Economies in a Globalized Environment (pp. 173–199). Malaysia: Graphic Stationers.

Amat, E. R. (2012). A Macro-Prudential Assessment for the Philippines. In E. M. Bernabe Jr, (Ed.), Framework For Macro-Prudential Policies For Emerging Economies In a Globalized Environment (pp.135–172). Malaysia: Graphic Stationers.

Andrews, D. W., & Lu, B. (2001). Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models. Journal of Econometrics, 101(1),

123–164.

Anh Minh. (2019a). Đã có 5 ngân hàng Việt đạt chuẩn Basel II. Truy cập từ http://baochinhphu.vn/Tai-chinh/Da-co-5-ngan-hang-Viet-dat-chuan-Basel-II/363964.vgp

Anh Minh. (2019b). Nợ xấu sẽ được xử lý dứt điểm và nhanh hơn. Truy cập từ http://vneconomy.vn/se-co-san-giao-dich-no-xau-vamc-huong-muc-tieu-mua-330000-ty-den-nam-2020-20190618184149696.htm

Baum, C. F., Caglayan, M., & Ozkan, N. (2004). Nonlinear effects of exchange rate volatility on the volume of bilateral exports. Journal of Applied Econometrics, 19(1), 1–23.

Bautista, C., Tarazi, A., & Rous, P. (2008). The Determinants of domestic and cross border bank contagion risk in Southeast Asia. Revue Economique, 59(6), 1215–1242.

Beatty, A. L., & Gron, A. (2001). Capital, portfolio, and growth: Bank behavior under risk-based capital guidelines. Journal of Financial Services Research, 20(1), 5–31.

Beck, T., Demirguc-Kunt, A., & Levine, R. (2006). Bank concentration, competition, and crises: First results. Journal of Banking and Finance, 30(5), 1581–1603.

Bharath, S. T., & Shumway, T. (2008). Forecasting default with the Merton distance to default model. The Review of Financial Studies, 21(3), 1339–1369.

BIS. (2015). FSI Survey - Basel II, 2.5 and III Implementation. Retrieved from https://www.bis.org/fsi/fsiop2015.htm

Bisias, D., Flood, M., Lo, A. W., & Valavanis, S. (2018). A survey of systemic risk analytics. NMIMS Mangagement Review, 36(3), 46–89.

Borio, C. E., & Drehmann, M. (2009). Towards an Operational Framework for Financial Stability: 'Fuzzy' Measurement and Its Consequences (BIS Working Paper No. 284). Available at SSRN: https://ssrn.com/abstract=1458294 or http://dx.doi.org/10.2139/ssrn.1458294

Borri, N., Caccavaio, M., Giorgio, G. D., & Sorrentino, A. M. (2014). Systemic risk in the Italian banking industry. Economic Notes: Review of Banking, Finance and Monetary Economics, 43(1), 21–38.

Brunnermeier, M. (2009). Deciphering the liquidity and credit crunch 2007-2008. Journal of Economic Perspectives, 23(1), 77–100.

Brunnermeier, M. K., & Oehmke, M. (2013). Bubbles, financial crises, and systemic risk. In Handbook of the Economics of Finance 2 (pp.1221–1288). Elsevier.

Canova, F., & Ciccarelli, M. (2013). Panel Vector Autoregressive Models: A Survey☆ The views expressed in this article are those of the authors and do not necessarily reflect those of the ECB or the Eurosystem. In VAR Models in Macroeconomics–New Developments and Applications: Essays in Honor of Christopher A. S. (pp. 205–246). Emerald Group Publishing Limited.

Cont, R., Moussa, A., & Santos, E. B. (2010). Network Structure and Systemic Risk in Banking Systems. Available at SSRN: https://ssrn.com/abstract=1733528

Demirgüç-Kunt, A., & Detragiache, E. (2005). Cross-country empirical studies of systemic bank distress: A survey. National Institute Economic Review, 192(1), 68–83.

Dičpinigaitienė, V., & Novickytė, L. (2018). Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach. Retrieved from https://www.researchgate.net/publication/328191980_Application_of_systemic_risk_measurement_methods_A_systematic_review_and_meta-analysis_using_a_network_approach

Edison, H. J. (2003). Do indicators of financial crises work? An evaluation of an early warning system. International Journal of Finance & Economics, 8(1), 11–53.

Elsinger, H., Lehar, A., & Summer, M. (2006). Risk assessment for banking systems. Management Science, 52(9), 1301–1314.

Engle, R. (2009). Anticipating Correlations: A New Paradigm for Risk Management. New Jersey: Princeton.

Glosten, L. R., & Jagannathan, R. (1994). A contingent claim approach to performance evaluation. Journal of Empirical Finance, 1(2), 133–160.

Hạ Thị Thiều Dao, & Lê Nguyễn Minh Phương. (2018). Mức độ hội nhập ngân hàng của Việt Nam: Góc nhìn từ hoạt động ngân hàng xuyên biên giới, Tạp chí Ngân hàng, 24, 8–13.

Ha, D., Gillet, P., Le, P., & Vo, D. T. (2019). Banking integration in ASEAN-6: An empirical investigation. Economic Modelling. doi: 10.1016/j.econmod.2019.09.017

Haldane, A. G., & May, R. M. (2011). Systemic risk in banking ecosystems. Nature, 469(7330),

351–355.

Hoàng Thanh. (2018a). Những sóng gió dồn dập xảy ra tại Eximbank. Truy cập từ https://news.zing.vn/nhung-song-gio-don-dap-xay-ra-tai-eximbank-post829526.html

Hoàng Thanh. (2018b). ACB đã xử lý nợ nhóm 6 công ty của bầu Kiên đến đâu?. Truy cập từ https://news.zing.vn/acb-da-xu-ly-no-nhom-6-cong-ty-cua-bau-kien-den-dau-post832212.html

Hu, D., Zhao, J. L., Hua, Z., & Wong, M. C. (2012). Network-based modeling and analysis of systemic risk in banking systems. Mis Quarterly, 36(4), 1269–1291.

Huang, X., Zhou, H., & Zhu, H. (2009). A framework for assessing the systemic risk of major financial institutions. Journal of Banking & Finance, 33(11), 2036–2049.

Hunter, W. C., Kaufman, G. G., & Krueger, T. H. (2012). The Asian Financial Crisis: Origins, Implications, and Solutions. New York: Springer Science & Business Media.

International Monetary Fund. (2019). International Financial Statistics. Retrieved from https://data.imf.org/?sk=4C514D48-B6BA-49ED-8AB9-52B0C1A0179B

Jiménez, G., Lopez, J. A., & Saurina, J. (2013). How does competition affect bank risk-taking?. Journal of Financial Stability, 9(2), 185–195.

Jobst, M. A. A., & Gray, M. D. F. (2013). Systemic contingent claims analysis: Estimating market-implied systemic risk. IMF Working Paper, No. WP/13/54 (pp. 13–54).

Kacaribu, F., & Irawan, D. (2018). Systemic risk cycle: Evidence from ASEAN-5. Institute for Economic and Social Research. Retrieved from https://www.lpem.org/systemic-risk-cycle-evidence-from-asean-5/

Kaufman, G. G., & Scott, K. E. (2003). What is systemic risk, and do bank regulators retard or contribute to it?. The Independent Review, 7(3), 371–391.

Kealhofer, S., & Kurbat, M. (2000). Benchmarking quantitative default risk models: A validation methodology. Research paper, Moody's KMV. Retrieved from http://www.rogermstein.com/wp-content/uploads/53621.pdf

Kim Tiền. (2016). Từ ngân hàng yếu kém bị buộc phải tái cơ cấu, Navibank và TienPhongBank đã thay đổi thế nào? Truy cập từ http://s.cafef.vn/tpb-206216/tu-ngan-hang-yeu-kem-bi-buoc-phai-tai-co-cau-navibank-va-tienphongbank-da-thay-doi-the-nao.chn

Koehn, M., & Santomero, A. M. (1980). Regulation of bank capital and portfolio risk. The Journal of Finance, 35(5), 1235–1244.

Lê Đạt Chí, & Lê Tuấn Anh. (2012). Kết hợp phương pháp CvaR và mô hình Merton/KMV để đo lường rủi ro vỡ nợ - Bằng chứng thực nghiệm tại Việt Nam. Tạp chí Phát triển & Hội nhập, 5(15), 10–15.

Lehar, A. (2005). Measuring systemic risk: A risk management approach. Journal of Banking & Finance, 29(10), 2577–2603.

Mensah, J. O., & Premaratne, G. (2017). Systemic interconnectedness among Asian banks. Japan and the World Economy, 41, 17–33.

Merton, R. C. (1977). On the pricing of contingent claims and the Modigliani-Miller theorem. Journal of Financial Economics, 5(2), 241–249.

Moshirian, F., & Wu, Q. (2009). Banking industry volatility and banking crises. Journal of International Financial Markets, Institutions and Money, 19(2), 351–370.

Neupane, S. (2012). A Macro-Prudential Assessment for Nepal. In E. M. Bernabe Jr, (Ed.), Framework for Macro-Prudential Policies for Emerging Economies in a Globalized Environment (pp.99–134). Malaysia: Graphic Stationers.

Nguyễn Hoàng Thụy Bích Trâm. (2014). Kiểm định rủi ro tín dụng cho các ngân hàng thương mại niêm yết tại Việt Nam. Tạp chí Phát triển & Hội nhập, 14(24), 19–26.

Nguyễn Thị Cành, & Phạm Chí Khoa. (2014). Áp dụng mô hình KMV-Merton dự báo rủi ro tín dụng khách hàng doanh nghiệp và khả năng thiệt hại của ngân hàng. Tạp chí Phát triển Kinh tế, 289, 39–57.

Pangestuti, R. S. (2019). The effect of credit and liquidity risk against systemic risk in four Asean Banks. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 4(1), 1–8.

Rodríguez-Moreno, M., & Peña, J. I. (2013). Systemic risk measures: The simpler the better?. Journal of Banking & Finance, 37(6), 1817–1831.

Sheu, H. J., & Cheng, C. L. (2012). Systemic risk in Taiwan stock market. Journal of Business Economics and Management, 13(5), 895–914.

Smaga, P. (2014). The Concept of Systemic Risk. London: Systemic Risk Centre.

Stewart, C., Matousek, R., & Nguyen, T. N. (2016). Efficiency in the Vietnamese banking system: A DEA double bootstrap approach. Research in International Business and Finance, 36, 96–111.

Utari, G. D., & Arimurti, T. (2012). A Macro-Prudential Assessment for Indonesia. In E. M. Bernabe Jr, (Ed.), Framework for Macro-Prudential Policies for Emerging Economies in a Globalized Environment (pp. 33–57). Malaysia: Graphic Stationers.

Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177–188.

Vu, T. T. V., & Tran, D. K. (2019). Systemic risk in Vietnam stock market. Asian Economic and Financial Review, 9(3), 339–352.

Wicaksono, A. S., & Chalid, D. A. (2018). Marginal Expected Shortfall Analysis in Banking Emerging Market ASEAN. In The 4th International Conference on Management Sciences Universitas Muhammadiyah Yogyakarta, Indonesia.

World Bank. (2019). World Development Indicators. Retrieved from https://datacatalog.worldbank.org/dataset/world-development-indicators